I am currently trying to write a little script in R to determine the optimal weights given a fixed risk aversion parameter.
The problem I have is that by increasing the risk aversion parameter I think ...

How does the answer to this question Risk minimization by investing in all assets with positive expected return change if assets can be positively correlated (but not perfectly) and short sales are ...

Thanks for opening this question.
I have constructed some rules for a portfolio with annual rebalancing and am backtesting it for the period 1990-2014. I want to compare the risk-adjusted return to ...

I am trying to calculate the sharpe ratio for a set of loans. These loans have already matured and I know if they were good or not: grades are the different grades of the loans.
interest rate is the ...

I am looking at the quantitative model our team is using for analyzing the performance of a portfolio of stocks. However I don't understand what the model is trying to achieve.
The model is supposed ...

Hi I have generate equity of my strategies which invest in commodities and currencies at daily interval.
What the best method to combine together all strategies in one portfolio?
I want to make the ...

You are considering an investment in the stock. In the stock market, there are two risky stocks (A and B) and a risk free claim, C (you can think of it as the t-bill). The covariances and returns of ...

Given that I have fundamental data such as GDP growth rate for G10 countries .Now I want to build a currency pairs portfolio of G10 currencies vs USD .How can I translate country scores to currency ...

I've just started reading up on Portfolio Optimization models and have come across the use of exposure bounds to mitigate the sensitivity of the optimized model solution, owing to parameter estimation ...

In Tomas Bjork's Arbitrage Theory in Continuous Time (or here), $\exists$ this proposition
Proposition 2.9 Suppose that a claim X is reachable with replicating portfolio h. Then any price at t=0 of ...

I am trying to determine a step-by-step algorithm for calculating a portfolio's VaR using monte carlo simulations. It seems to me that the literature for this is extraordinarily opaque for something ...

I wanted to optimize a portfolio based on a portfolio-wide CVaR constraint (i.e. $CVaR_p \leq 0.08$). Unfortunately, I only find solution that minimizes the entire CVaR of the Portfolio.
Do you mind ...

Your client would like to buy a digital call option. the digital call option pays the buyer in one years time (i.e at maturity )
N=1m SGD, if the SGD USD spot rate at maturity is above a prescribed ...

If I have given vectors for return and volatility (i.e. I have two 1x10 vectors), and I assume at first that their correlation is 0 (meaning my covariance-variance matrix is just diagonal), how do I ...

Although this is probably a basic question, this is probably also the right forum to post it in :)
I thought I understood beta, but know I am really confused...
The beta between my portfolio (weekly ...

We try to analyze the average correlation of a portfolio as it can be found here in section 2 b), the same formula which is also used by the CBOE to calculate implied correlations:
$$
\rho_{av(2)} = ...

I like to apply the Newey-West covariance estimator for portfolio optmization which is given by
$$
\Sigma = \Sigma(0) + \frac12 \left (\Sigma(1) + \Sigma(1)^T \right),
$$
where $\Sigma(i)$ is the lag ...

I'm working through the implementation of a risk budgeting approach as described in the recent Roncalli paper. The idea is that the portfolio manager sets a contribution of total portfolio volatility ...